Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model

Morten Nielsen and Lealand Morin
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Lealand Morin: Queen's University

No 1273, Working Paper from Economics Department, Queen's University

Abstract: This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.

Keywords: cofractional process; cointegration rank; computer program; fractional autoregressive model; fractional cointegration; Matlab; fractional unit root; VAR model (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2014-03
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1273

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